| /* |
| * Licensed to the Apache Software Foundation (ASF) under one or more |
| * contributor license agreements. See the NOTICE file distributed with |
| * this work for additional information regarding copyright ownership. |
| * The ASF licenses this file to You under the Apache License, Version 2.0 |
| * (the "License"); you may not use this file except in compliance with |
| * the License. You may obtain a copy of the License at |
| * |
| * http://www.apache.org/licenses/LICENSE-2.0 |
| * |
| * Unless required by applicable law or agreed to in writing, software |
| * distributed under the License is distributed on an "AS IS" BASIS, |
| * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. |
| * See the License for the specific language governing permissions and |
| * limitations under the License. |
| */ |
| package org.apache.commons.statistics.distribution; |
| |
| /** |
| * This class implements the <a href="http://en.wikipedia.org/wiki/Gumbel_distribution">Gumbel distribution</a>. |
| */ |
| public class GumbelDistribution extends AbstractContinuousDistribution { |
| /** Support lower bound. */ |
| private static final double SUPPORT_LO = Double.NEGATIVE_INFINITY; |
| /** Support upper bound. */ |
| private static final double SUPPORT_HI = Double.POSITIVE_INFINITY; |
| /** π<sup>2</sup>/6. */ |
| private static final double PI_SQUARED_OVER_SIX = Math.PI * Math.PI / 6; |
| /** |
| * <a href="http://mathworld.wolfram.com/Euler-MascheroniConstantApproximations.html"> |
| * Approximation of Euler's constant</a>. |
| */ |
| private static final double EULER = Math.PI / (2 * Math.E); |
| /** Location parameter. */ |
| private final double mu; |
| /** Scale parameter. */ |
| private final double beta; |
| |
| /** |
| * Creates a distribution. |
| * |
| * @param mu location parameter |
| * @param beta scale parameter (must be positive) |
| * @throws IllegalArgumentException if {@code beta <= 0} |
| */ |
| public GumbelDistribution(double mu, |
| double beta) { |
| if (beta <= 0) { |
| throw new DistributionException(DistributionException.NEGATIVE, beta); |
| } |
| |
| this.beta = beta; |
| this.mu = mu; |
| } |
| |
| /** |
| * Gets the location parameter. |
| * |
| * @return the location parameter. |
| */ |
| public double getLocation() { |
| return mu; |
| } |
| |
| /** |
| * Gets the scale parameter. |
| * |
| * @return the scale parameter. |
| */ |
| public double getScale() { |
| return beta; |
| } |
| |
| /** {@inheritDoc} */ |
| @Override |
| public double density(double x) { |
| if (x <= SUPPORT_LO) { |
| return 0; |
| } |
| |
| final double z = (x - mu) / beta; |
| final double t = Math.exp(-z); |
| return Math.exp(-z - t) / beta; |
| } |
| |
| /** {@inheritDoc} */ |
| @Override |
| public double cumulativeProbability(double x) { |
| final double z = (x - mu) / beta; |
| return Math.exp(-Math.exp(-z)); |
| } |
| |
| /** {@inheritDoc} */ |
| @Override |
| public double inverseCumulativeProbability(double p) { |
| if (p < 0 || p > 1) { |
| throw new DistributionException(DistributionException.INVALID_PROBABILITY, p); |
| } else if (p == 0) { |
| return Double.NEGATIVE_INFINITY; |
| } else if (p == 1) { |
| return Double.POSITIVE_INFINITY; |
| } |
| return mu - Math.log(-Math.log(p)) * beta; |
| } |
| |
| /** {@inheritDoc} */ |
| @Override |
| public double getMean() { |
| return mu + EULER * beta; |
| } |
| |
| /** {@inheritDoc} */ |
| @Override |
| public double getVariance() { |
| return PI_SQUARED_OVER_SIX * beta * beta; |
| } |
| |
| /** {@inheritDoc} */ |
| @Override |
| public double getSupportLowerBound() { |
| return SUPPORT_LO; |
| } |
| |
| /** {@inheritDoc} */ |
| @Override |
| public double getSupportUpperBound() { |
| return SUPPORT_HI; |
| } |
| |
| /** {@inheritDoc} */ |
| @Override |
| public boolean isSupportConnected() { |
| return true; |
| } |
| |
| } |